Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 4 5 5
Score 4.2 11.33 6.49
Market Cap (Millions USD) 1134.21 1016.76 1108.93
Predicted Beta 0.26 0.26 0.25
Idiosyncratic Volatility 1.45 1.31 1.41

Annualized return and volatility

EWL
Annualized Return 0.0625
Annualized Std Dev 0.2075
Annualized Sharpe (Rf=0%) 0.3010

Row

Daily Return Statistics

EWL
Observations 5111.0000
NAs 2.0000
Minimum -0.0827
Quartile 1 -0.0058
Median 0.0003
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0068
Maximum 0.1178
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0131
Skewness -0.1804
Kurtosis 6.2361

Downside Risk

EWL
Semi Deviation 0.0094
Gain Deviation 0.0091
Loss Deviation 0.0100
Downside Deviation (MAR=210%) 0.0141
Downside Deviation (Rf=0%) 0.0093
Downside Deviation (0%) 0.0093
Maximum Drawdown 0.5162
Historical VaR (95%) -0.0199
Historical ES (95%) -0.0312
Modified VaR (95%) -0.0202
Modified ES (95%) -0.0346
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 2011-04-14 -0.5162 857 320 537
2001-01-04 2003-03-12 2005-02-24 -0.4680 1058 557 501
2011-06-01 2011-11-25 2013-01-02 -0.2547 407 126 281
2015-05-15 2016-02-11 2017-05-05 -0.2140 505 191 314
2018-01-29 2018-12-24 2019-06-06 -0.1736 347 233 114

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWL
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 2.2 0.9 0.0 0.0 -1.2 0.0 1.2 0.8 0.0 -0.4 2.1 0.0 5.6
2001 1.0 -2.9 0.0 1.4 0.0 0.0 2.6 0.0 -1.2 0.9 0.0 0.0 1.8
2002 -0.3 -0.3 2.1 2.5 0.0 -1.0 -0.9 0.0 0.5 2.3 0.0 0.0 4.9
2003 0.0 0.0 0.0 0.4 0.0 -0.5 1.2 0.0 0.5 0.0 0.9 0.0 2.5
2004 0.0 1.7 0.9 0.0 -0.6 -1.1 0.0 0.3 2.0 0.7 0.2 0.0 4.4
2005 0.2 0.5 -0.2 0.0 0.6 -0.5 1.2 1.5 0.0 0.2 1.7 0.0 5.4
2006 -0.1 1.1 0.0 -0.7 0.2 0.0 -0.6 0.4 0.0 0.4 -0.1 0.0 0.6
2007 0.2 -0.6 0.0 -0.3 0.4 0.0 -0.1 0.0 1.1 -2.1 0.0 0.0 -1.5
2008 1.3 0.0 2.3 0.7 0.0 -0.7 -0.9 0.0 0.5 0.0 -8.0 0.0 -5.1
2009 0.0 0.0 2.4 2.8 2.2 1.2 0.0 -2.4 -2.4 0.0 2.1 0.0 5.7
2010 1.9 0.4 1.3 0.0 -1.0 1.2 0.0 2.5 0.3 -0.7 2.0 0.0 8.0
2011 1.9 -0.8 0.1 0.0 -1.2 -0.3 -0.8 0.5 0.0 -3.4 0.0 0.0 -3.8
2012 1.8 0.7 0.0 0.7 -1.4 0.0 -0.4 0.0 1.4 1.0 0.0 0.0 3.8
2013 1.0 -0.4 -0.4 -0.4 0.0 0.6 0.7 0.0 0.5 -0.5 0.0 0.0 1.1
2014 0.0 0.0 0.5 0.1 0.0 0.8 -0.5 0.0 -1.0 0.0 0.1 0.0 -0.1
2015 0.0 0.0 1.2 1.4 -0.6 0.5 0.0 -2.3 0.0 0.0 0.6 0.0 0.7
2016 -0.1 2.5 -0.5 0.0 0.5 0.5 -0.5 0.3 0.0 0.3 -0.6 0.0 2.3
2017 0.0 0.8 0.0 0.4 0.4 0.0 0.5 -0.1 0.0 -0.6 0.4 0.0 1.8
2018 0.3 -1.8 0.0 -0.4 1.3 0.0 -0.3 0.0 0.1 0.9 0.0 0.0 0.1
2019 -0.4 0.7 0.7 -0.3 0.0 -0.3 0.3 0.0 -1.2 0.3 0.0 0.5 0.3

Row

Rolling Performance Chart

Snail Trail Chart